Decision Support System For Stock Trading Using Multiple Indicators Decision Tree

FX SATRIYO D NUGROHO, Teguh Bharata Adji, S.T., M.T., M.Eng., Ph.D.; Dr.Eng Silmi Fauziati, S.T., M.T.

2015 | Tesis | S2 Teknik Elektro

Sistem Pendukung Keputusan menggunakan klasifikasi decision tree dapat digunakan untuk perdagangan saham. Analisis teknis adalah metode analisis saham yang semata-mata berdasarkan menafsirkan saham pergerakan grafik harga atau tren. Harga saham Sejarah dan volume digunakan sebagai input variabel. Sistem yang digunakan metode decision tree ini . Sistem ini dibangun berdasarkan indikator analisis teknis pasar keuangan, salah satu sistem dasar dibangun pada indikator analisis teknis tunggal hanya yang berdasarkan Exponential Moving Average dan sistem lainnya adalah sistem multi indikator bahwa berdasarkan Exponential Moving Average, Moving Average Convergence Divergence , Relative Strength Index,Money Flow Index, On Balance Volume, dan Parabolic Stop and Reverse. Indikator ini disusun ke dalam decision tree dengan mengklasifikasikan setiap harga ke dalam kelas beli, tahan, dan menjual yang mewakili keputusan dalam perdagangan. Tujuan penelitian ini adalah untuk mengamati peningkatan dalam pengambilan keputusan di perdagangan saham dengan membandingkan decision tree indikator tunggal terhadap multi indikator. kelas Keputusan yang dibuat oleh kedua sistem kemudian diukur dengan menggunakan parameter profitability, geometric mean return, and cumulative wealth index. Analisis sensitivitas ditambahkan ke dalam analisis profitability untuk mendapatkan nilai perdagangan yang lebih positif dalam pengambilan keputusan. Nilai profitability menunjukkan peningkatan 89,93%, nilai geometric mean menunjukkan penurunan (-33,2%), dan cumulative wealth index kumulatif menunjukkan peningkatan 29,5% saat menggunakan multi indikator. Dua dari tiga parameter memberikan peningkatan positif.

Decision support system using decision tree classification can be used for stock trading. Technical analysis is a stock analysis method which solely based on interpreting stock's price chart movement or trend. Historical stock prices and volume are used as variable input. This system used decision tree method. The system was built based on financial market technical analysis indicators, one basic system was built on a single technical analysis indicator only which based on Exponential Moving Average and the other system was built on multiple indicators that based on Exponential Moving Average, Moving Average Convergence Divergence, Relative Strength Index, Money Flow Index, On Balance Volume, and parabolic Stop and Reverse. These indicators were arranged into decision tree based to classify each price into buy, hold, and sell classes which represented decisions in trading. The research purpose was to observe the enhancement in decision making at technical stock trading by comparing the single indicator decision tree against multiple indicators. Decision classes that were created by those two systems then are measured using parameters of profitability, geometric mean return, and cumulative wealth index. Furthermore sensitivity analysis was added into profitability analysis to obtain more positive value trading in decision making. Profitability value showed 89.93% enhancement, geometric mean value showed (-33.2%) enhancements, and cumulative wealth index value showed 29.5% enhancement using multiple indicator. Two out of three parameters gave positive enhancement.

Kata Kunci : Stock Trading, Decision Support System, Decision Tree, Classification, Technical Analysis, Profitability Analysis, Sensitivity Analysis